Was backtesting a delta hedge strategy just now, so long FTSE future on 2nd jan at 7510 {open price} on 20 th jan it hits 7620, the corresponding 7500 put was trading at premium of approx 80. Go long that put. At 31st jan that put hit a high of 350, now your future is down, but the put would have hit some nice bank.
any views appreciated